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workshop, ‘‘Emergency Preparedness Commission and to meet certain Please direct your written comments
Enhancements in the Post-9/11 requirements with regard to, among to R. Corey Booth, Director/Chief
Environment,’’ covered a broad range of other things, a clearing agency’s Information Officer, Securities and
EP topics, including proposed 9/11- organization, capacities, and rules. The Exchange Commission, 100 F Street,
related enhancements regarding offsite information is collected from the NE., Washington, DC 20549.
preparedness/response. The workshop clearing agency upon the initial Dated: July 13, 2005.
was attended by stakeholders nation- application for registration on Form Margaret H. McFarland,
wide. CA–1. Thereafter, information is
Deputy Secretary.
During the workshop, EPD staff collected by amendment to the initial
recorded all comments and questions Form CA–1 when material changes in [FR Doc. E5–4016 Filed 7–27–05; 8:45 am]
brought forth by stakeholders in a circumstances necessitate modification BILLING CODE 8010–01–P
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43726 Federal Register / Vol. 70, No. 144 / Thursday, July 28, 2005 / Notices
Dated: July 26, 2005. Rule 6.2A. Rapid Opening System including any LMMs and SMMs if
Jonathan G. Katz, This rule has no applicability to series applicable[;].
Secretary. trading on the CBOE Hybrid Opening (v) All index option orders for
[FR Doc. 05–15103 Filed 7–26–05; 3:49 pm] System. Such series will be governed by participation in the modified ROS
Rule 6.2B. opening procedure that are related to
BILLING CODE 8010–01–P
(a)—(d) No change. positions in, or a trading strategy
* * * Interpretation and Policies: involving, volatility index options or
SECURITIES AND EXCHANGE .01–.02 No change. futures, and any change to or
COMMISSION .03 Modified ROS Opening cancellation of any such order
Procedure For Calculation of Settlement (A) must be received prior to 8:00 a.m.
Prices of Volatility Indexes. (CT), and
[Release No. 34–52101; File No. SR–CBOE– (B) may not be cancelled or changed
2004–86] All provisions set forth in Rule 6.2A
and the accompanying interpretations after 8:00 a.m. (CT), unless the order is
and policies shall remain in effect not executed in the modified ROS
Self-Regulatory Organizations;
unless superseded or modified by this opening procedure and the cancellation
Chicago Board Options Exchange,
Rule 6.2A.03. To facilitate the or change is submitted after the
Incorporated; Notice of Filing of
calculation of a settlement price for modified ROS opening procedure is
Proposed Rule Change Relating to the
futures and options contracts on concluded (provided that any such
Modified ROS Opening Procedure
volatility indexes, the Exchange shall order may be changed or cancelled after
July 21, 2005. utilize a modified ROS opening 8:00 a.m. (CT) and prior to 8:25 a.m.
procedure for any index option series (CT) in order to correct a legitimate
Pursuant to section 19(b)(1) of the
with respect to which a volatility index error, in which case the member
Securities Exchange Act of 1934
is calculated (including any index submitting the change or cancellation
(‘‘Act’’),1 and Rule 19b–4 thereunder,2
option series opened under Rule shall prepare and maintain a
notice is hereby given that on December
6.2A.01). This modified ROS opening memorandum setting forth the
15, 2004, the Chicago Board Options
procedure will be utilized only on the circumstances that resulted in the
Exchange, Incorporated (‘‘CBOE’’ or
final settlement date of the options and change or cancellation and shall file a
‘‘Exchange’’) filed with the Securities
futures contracts on the applicable copy of the memorandum with the
and Exchange Commission
volatility index in each expiration Exchange no later than the next
(‘‘Commission’’) the proposed rule
month. business day in a form and manner
change as described in items I, II, and
The following provisions shall be prescribed by the Exchange).
III below, which items have been
applicable when the modified ROS In general, the Exchange shall
prepared by the Exchange. On July 5,
opening procedure set forth in this Rule consider index option orders to be
2005, the Exchange filed Amendment
6.2A.03 is in effect for an index option related to positions in, or a trading
No. 1 to the proposed rule change.3 The
with respect to which a volatility index strategy involving, volatility index
Commission is publishing this notice to
is calculated: options or futures for purposes of this
solicit comments on the proposed rule
(i) [a]All orders (including public Rule 6.2A.03(v) if the orders possess the
change, as amended, from interested
customer, broker-dealer, Exchange following three characteristics:
persons.
Market-Maker and away Market-Maker (i) The orders are for options series
I. Self-Regulatory Organization’s and specialist orders), other than with the expiration month that will be
Statement of the Terms of Substance of contingency orders, will be eligible to be used to calculate the settlement price of
the Proposed Rule Change placed on the Electronic Book for those the applicable volatility index option or
option contract months whose prices are futures contract.
The Exchange proposes to revise the used to derive the volatility indexes on (ii) The orders are for options series
modified Rapid Opening System which options and futures are traded, spanning the full range of strike prices
(‘‘ROS’’) opening procedure set forth in for the purpose of permitting those in the appropriate expiration month for
CBOE Rule 6.2A.03 to provide a greater orders to participate in the ROS opening options series that will be used to
opportunity for market participants to price calculation for the applicable calculate the settlement price of the
respond to order imbalances in the index option series[;]. applicable volatility index option or
electronic book and to move the cut-off (ii) [a]All Market-Makers, including futures contract, but not necessarily
time for the submission of all orders for any LMMs and SMMs, if applicable, every available strike price.
participation in the modified ROS who are required to log on to ROS or (iii) The orders are for put options
opening procedure from 8:28 a.m. (CT) RAES for the current expiration cycle with strike prices less than the ‘‘at-the-
to 8:25 a.m. (CT). Proposed new shall be required to log on to ROS money’’ strike price and for call options
language is in italics; proposed during the modified ROS opening with strike prices greater than the ‘‘at-
deletions are in [brackets]. procedure if the Market-Maker is the-money’’ strike price. The orders may
* * * * * physically present in the trading crowd also be for put and call options with ‘‘at-
for that index option class[;]. the-money’’ strike prices.
Chicago Board Options Exchange, (iii) [i]If the ROS system is Whether index option orders are
Incorporated implemented in an option contract for related to positions in, or a trading
Rules which LMMs have been appointed, the strategy involving, volatility index
LMMs will collectively set the options or futures for purposes of this
* * * * *
Autoquote values that will be used by Rule 6.2A.03(v) depends upon specific
1 15
ROS[;]. facts and circumstances. Order types
U.S.C. 78s(b)(1).
2 17
(iv) ROS contracts to trade for that other than those provided above may
CFR 240.19b–4.
3 See Form 19b–4, dated July 1, 2005 index option series will be assigned also be deemed by the Exchange to fall
(‘‘Amendment No. 1’’). Amendment No. 1 replaced equally, to the greatest extent possible, within this category of orders if the
the original filing in its entirety. to all logged-on Market-Makers, Exchange determines that to be the case
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